Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 2 2 2
Score -3.3 -3.18 -4.01
Market Cap (Millions USD) NA NA NA
Predicted Beta 0.24 0.24 0.24
Idiosyncratic Volatility 1.05 1.27 1.51

Annualized return and volatility

DEMIX
Annualized Return 0.0941
Annualized Std Dev 0.2055
Annualized Sharpe (Rf=0%) 0.4577

Row

Daily Return Statistics

DEMIX
Observations 5111.0000
NAs 2.0000
Minimum -0.1197
Quartile 1 -0.0050
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0004
Quartile 3 0.0067
Maximum 0.1357
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0129
Skewness -0.1343
Kurtosis 12.3991

Downside Risk

DEMIX
Semi Deviation 0.0094
Gain Deviation 0.0091
Loss Deviation 0.0104
Downside Deviation (MAR=210%) 0.0139
Downside Deviation (Rf=0%) 0.0092
Downside Deviation (0%) 0.0092
Maximum Drawdown 0.6315
Historical VaR (95%) -0.0190
Historical ES (95%) -0.0312
Modified VaR (95%) -0.0181
Modified ES (95%) -0.0219
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-11-20 2011-01-03 -0.6315 814 273 541
2014-09-04 2016-02-11 2017-05-11 -0.4026 688 370 318
2000-02-14 2001-09-21 2003-08-20 -0.3833 899 409 490
2011-05-02 2011-10-03 2013-10-11 -0.3261 626 109 517
2018-01-29 2018-12-24 NA -0.2708 489 233 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec DEMIX
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 0.0 1.1 0.0 0.0 0.4 0.0 -0.1 0.1 0.0 1.4 1.2 0.0 4.1
2001 0.4 0.1 0.0 0.4 0.1 0.0 0.4 0.0 -0.6 0.6 0.0 0.0 1.4
2002 -0.4 1.9 0.4 0.1 0.0 0.0 -0.1 0.0 2.0 1.3 0.0 0.0 5.2
2003 0.0 0.0 0.6 0.1 0.0 0.8 0.0 0.0 1.8 0.0 1.4 0.0 4.9
2004 0.0 1.4 0.6 0.0 0.0 0.1 0.0 0.5 1.5 0.5 1.0 0.0 5.7
2005 0.2 -0.3 0.5 0.0 0.1 0.3 0.7 1.2 0.0 1.2 0.7 0.0 4.7
2006 -0.1 1.3 0.0 0.1 1.3 0.0 -0.6 1.2 0.0 -0.1 0.0 0.0 3.2
2007 1.3 -1.3 0.0 0.2 1.4 0.0 -1.6 0.0 2.5 -3.2 0.0 0.0 -0.8
2008 2.2 0.0 2.9 0.5 0.0 -1.6 -0.9 0.0 -0.5 0.0 -7.1 0.0 -4.8
2009 0.0 0.0 0.0 2.8 4.6 1.7 0.0 -1.7 -2.0 0.0 2.9 0.0 8.5
2010 1.5 1.4 1.8 0.0 -1.4 -0.4 0.0 2.6 0.8 0.7 2.5 0.0 9.8
2011 1.8 -0.9 1.6 0.0 -1.6 1.2 0.2 -0.4 0.0 -2.8 0.7 0.0 -0.3
2012 1.7 0.0 0.0 -0.2 -2.1 0.0 -0.1 0.0 0.6 1.6 0.0 0.0 1.4
2013 0.9 0.2 -0.5 -0.9 0.0 0.4 1.0 0.0 1.3 -0.3 0.0 0.0 2.2
2014 0.0 0.0 1.0 0.6 0.0 0.5 -0.4 0.0 -2.1 0.0 -2.2 0.0 -2.6
2015 0.0 0.0 1.3 0.3 0.6 -0.8 0.0 -2.6 0.0 0.0 0.7 0.0 -0.6
2016 -0.5 2.9 -0.5 0.0 -0.3 0.8 0.1 0.0 0.0 -1.0 -1.9 0.0 -0.5
2017 0.4 1.1 0.0 0.2 0.2 0.0 0.3 0.8 0.0 1.2 -0.7 0.0 3.6
2018 -0.4 -0.7 0.0 -0.3 1.4 0.0 -0.3 0.0 -0.4 2.5 0.0 0.0 1.8
2019 0.1 0.4 1.7 -0.3 0.0 1.5 -1.3 0.0 -1.0 1.5 0.0 0.1 2.7

Row

Rolling Performance Chart

Snail Trail Chart